Operator splitting methods for American option pricing. (Q1767129): Difference between revisions

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-.1016/j.aml.2004.06.010
@@ Property / DOI: 10.1016/j.aml.2004.06.010 / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
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+Some mathematical results in the pricing of American options
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+On multigrid for linear complementarity problems with application to American-style options
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+.1016/J.AML.2004.06.010
@@ Property / DOI: 10.1016/J.AML.2004.06.010 / rank @@
+Normal rank